Trend-Following Backtester · Guide · backtest 한국어
equity · US
MetLife, Inc. backtest
10 trend-following strategies were compared on the full daily history of MetLife, Inc.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 7.6%, drawdown -82.9%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 4.9%, MDD -56.9%, Sharpe 0.31, 80% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=28, exitN=75 |
4.9% | -56.9% | 0.31 | 0.09 | 3.5x | 53 | 80% |
| Supertrend period=16, mult=5 |
2.1% | -57.7% | 0.20 | 0.04 | 1.7x | 79 | 56% |
| SMA 크로스오버 fast=56, slow=191 |
1.5% | -58.0% | 0.18 | 0.03 | 1.5x | 41 | 63% |
| 볼린저 밴드 돌파 n=46, k=3.4 |
0.7% | -27.4% | 0.17 | 0.03 | 1.2x | 10 | 4% |
| EMA 크로스오버 fast=56, slow=189 |
0.9% | -52.9% | 0.15 | 0.02 | 1.3x | 39 | 64% |
| Keltner 채널 돌파 emaPeriod=11, atrPeriod=13, mult=2.8 |
0.3% | -7.9% | 0.12 | 0.04 | 1.1x | 8 | 2% |
| MACD fast=40, slow=62, signal=15 |
-0.4% | -53.6% | 0.11 | -0.01 | 0.9x | 203 | 51% |
| ROC 모멘텀 n=195, threshold=-0.04 |
-0.9% | -61.1% | 0.06 | -0.01 | 0.8x | 167 | 69% |
| Parabolic SAR step=0.005, maxStep=0.14 |
-2.3% | -72.7% | 0.02 | -0.03 | 0.5x | 247 | 57% |
| ADX / DI 방향성 period=30, threshold=29 |
-0.1% | -6.0% | -0.08 | -0.02 | 1.0x | 2 | 0% |
| Buy and hold | 7.6% | -82.9% | 0.38 | 0.09 | 6.9x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 28 days
- Sell — Sell when price breaks below the lowest low of the last 75 days